Czasopismo
2008
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Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2006
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65--76
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
In the present article we implement the idea of the switching premium rate in a setting which allows us not only to avoid the premium rate being switched too often but consider the risk process with perturbation. We suggest another approach to the study of the ruin probability, which is based on the potential method proposed by and which leads to the formulae convenient for asymptotic analysis. The paper is organized as follows. In the second section we present the model and necessary auxiliary facts to be used later on. They are well-known. We find the formula for the ruin probability. Its asymptotic analysis will be performed in Sec.3.(fragment of text)
Rocznik
Strony
65--76
Opis fizyczny
Twórcy
Bibliografia
- Asmussen S.: Ruin Probabilities, Word Scientific, Singapore 2000
- Bertoin J.: Le'vy Processes. Cambridge University Press, Cambridge, UK, 1996
- Bertoin J.: Exponential decay and ergodicity of completely asymmetric
- Levy processes in a finite interval. "Annals of Applied Probability" 1997, Vol. 7, No 1
- Korolyuk V.S.: Boundary problems for compound Poisson processes. "Theory Probability and its Applications" 1974, No 19
- Korolyuk V.S.: Ruin problems for compound Poisson processes. "Theory of Probability and its Applications" 1975, No 20
- Lin X.S., Pavlova K.P.: The compound Poisson risk model with a threshold dividend strategy. "Insurance: Mathematics and Economics" 2006, No 38
- Zhang H.Y., Zhou M., Guo J.Y.: The Gerber-Shiu discounted penalty function for classical risk model with two-step premium rate. "Statistics and Probability Letters" 2006, No 76
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171305813